Dimensional ETF Trust

10-Year Study

DFNM.US · · US · ETF

Executive Summary: Dimensional ETF Trust has compounded at 1.2% annually over the last 10 years, with a maximum drawdown of 7.0% and an annualized volatility of 3.4%.

1Y CAGR
+4.8%
3Y CAGR
+3.2%
5Y CAGR
+1.2%
10Y CAGR
+1.2%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
7.0%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.75
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-1.27
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
4.2%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · +4.0%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -4.0%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.80.8-1.80.8————————0.6%
20250.40.8-1.1-0.30.20.5-0.10.51.40.80.20.33.9%
2024-0.1-0.1-0.2-0.6-0.20.80.70.70.8-1.01.0-0.71.2%
20231.7-2.02.0-0.6-0.90.60.1-0.7-1.4-0.33.61.84.0%
2022-1.9-0.3-1.7-1.41.3-0.41.6-1.7-2.5-0.22.90.3-4.0%
2021———————————0.10.1%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 3.4%. The dominant macroeconomic risk driver is LQD.US, accounting for 49.1% of variance. Idiosyncratic stock-specific factors contribute 23.6%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2021-11-0110000
2021-12-0110006.337786538978
2022-01-019820.771767564956
2022-02-019792.18616483053
2022-03-019629.676576196585
2022-04-019491.753228446607
2022-05-019611.734083960373
2022-06-019572.374244109684
2022-07-019728.983134931475
2022-08-019563.676178445845
2022-09-019324.523081562942
2022-10-019310.208425759387
2022-11-019575.805390615267
2022-12-019604.259866731647
2023-01-019770.266165180201
2023-02-019575.892808360632
2023-03-019762.813802387815
2023-04-019704.069077502387
2023-05-019619.863934279338
2023-06-019673.822537606022
2023-07-019687.809376864458
2023-08-019624.322239292966
2023-09-019490.791633247592
2023-10-019460.76363771464
2023-11-019805.954459725552
2023-12-019985.641635323764
2024-01-019971.239561774843
2024-02-019962.213679565883
2024-03-019945.473181328445
2024-04-019881.76749939354
2024-05-019863.999842648058
2024-06-019944.795693801863
2024-07-0110015.625921984032
2024-08-0110089.340935763255
2024-09-0110172.868591459723
2024-10-0110073.212361743374
2024-11-0110173.393097931916
2024-12-0110104.748313383876
2025-01-0110146.86181221357
2025-02-0110230.43317678272
2025-03-0110119.849728895719
2025-04-0110093.340297613713
2025-05-0110115.085461773313
2025-06-0110165.000994376855
2025-07-0110158.182410238365
2025-08-0110213.67082410894
2025-09-0110359.024680214961
2025-10-0110438.268866388533
2025-11-0110459.511378512281
2025-12-0110496.073850511284
2026-01-0110581.524696605786
2026-02-0110669.991454915391
2026-03-0110474.831338387536
2026-04-0110560.063640118626
Annual Return Matrix
YearAnnual Return
2022-0.0401823252807062
20230.03970964695709567
20240.011927794167855943
20250.038726896008789424
20260.006096545291001787
Total Factor Risk
0.033715603522095246
VTI.US Exposure
0.0481608590363498
VEA.US Exposure
-0.04749047677416612
VWO.US Exposure
0.04265874095715922
QQQ.US Exposure
-0.09556378446786039
VTV.US Exposure
0.009042849191110014
IJR.US Exposure
0.05222729550757972
QUAL.US Exposure
0.0608842424719213
SHV.US Exposure
0.08648525795175968
TLT.US Exposure
0.027784917496892422
LQD.US Exposure
0.4908652781441498
HYG.US Exposure
-0.002015041789952686
GLD.US Exposure
0.041099083259940314
USO.US Exposure
0.01979955179884758
VNQ.US Exposure
-0.03511176076172393
BTC-USD.CC Exposure
0.01346101246308693
CPER.US Exposure
-0.021255192361913273
VIX.INDX Exposure
0.0006268073823992887
UUP.US Exposure
0.003522278514438199
TIP.US Exposure
0.0689868718851232
Idiosyncratic Exposure
0.23583121009485883
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
34.8
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
3.4%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.90%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$52
Avg Yield on Cost
0.52%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$52.230.52%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+1.7%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+3.2%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
1.0% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.59
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Dimensional ETF Trust a high-risk investment?

Dimensional ETF Trust (DFNM.US) has an annualized volatility of 3.4% and experienced a maximum drawdown of 7.0% over the last 10 years. Its primary macro risk driver is LQD.US.

What is the 10-year return of DFNM.US?

Over the past 10 years, DFNM.US has generated a Compound Annual Growth Rate (CAGR) of 1.2%. It has had a positive return in 80% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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